Hi,
There are a few errors with your second example.
The first error is that in your second example "risk" is an array. When
calling "trade.addcustommetric(...)", you must pass a scaler (i.e. a
single value) not an array. Notice that in your first example risk was a
scaler.
The second error is that in your second example "risk" gets recalculated
for every symbol. So, when referring to "risk" in your custom backtester
code, which symbol's "risk" are you expecting to get? The active symbol
during custom backtesting is "~~~Equity", so you will be getting the
"risk" for ~~~~Equity, which is not what you want. Notice that in your
first example "risk" was a fixed value.
To solve both problems, you must recalculate risk for each trade using
the symbol of that trade, and using the values from the entry bar of
that trade (i.e. calculate using scalers instead of entire array).
Your custom backtester code would then look something like this:
SetCustomBacktestProc( "" );
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.backtest( 1 );
Sumprofitperrisk = 0;
numtrades = 0;
bars = BarIndex();
dates = DateTime();
for ( trade = bo.getfirsttrade(); trade; trade = bo.getnexttrade() )
{
entryBar = LastValue( ValueWhen( trade.EntryDateTime == dates,
bars ) );
if (trade.IsLong()) {
SetForeign(trade.Symbol, true, true);
pw = TimeFrameGetPrice( "l", inWeekly, -1 );
qw = TimeFrameGetPrice( "l", inWeekly, -2 );
wqs = Min( pw, qw );
bstopamount = BuyPrice - ( wqs - 1 );
risk = bstopamount[entryBar] * BuyPrice[entryBar];
RestorePriceArrays(true);
} else {
SetForeign(trade.Symbol, true, true);
yw = TimeFrameGetPrice( "h", inWeekly, -1 );
zw = TimeFrameGetPrice( "h", inWeekly, -2 );
wzs = Max( yw, zw );
sstopamount = ( wzs + 1 ) - ShortPrice;
risk = sstopamount[entryBar] * ShortPrice[entryBar];
RestorePriceArrays(true);
}
rmultiple = trade.getprofit() / risk;
trade.addcustommetric( "initial risk $" , risk );
trade.addcustommetric( "R-multiple" , rmultiple );
Sumprofitperrisk = Sumprofitperrisk + rmultiple ;
numtrades++;
}
expectancy3 = Sumprofitperrisk / numtrades ;
bo.addcustommetric( "Expectancy (per risk)", expectancy3 );
bo.listtrades();
}
I have not tested the code above, so make sure to test it out before
accepting it. Also, I have not tried to verify whether or not your
calculations are valid. I just copied what you already had and moved the
calculation of "risk" to inside the backtester.
Mike
--- In [email protected], "asitasu" <asit...@...> wrote:
>
> dear mike,
>
> i understood where you want me to direct. for you reference i am
giving full afl for my system which works fine giving me two extra
coloms of initial risk & expectancy/trade coloumwise. but when i try to
change risk perameter as shown in following afl i get blnak colom of
initial risk & expectancy/trade. so i wnt to know how to get initial
risk coloum when using risk = enty - stop value.
>
> afl.
> Capital = 100000;
> SetOption("InitialEquity", Capital );
> RoundLotSize = 1;
> possize = 0.8*Capital;
> allocationrisk = 0.8; // max capital employed per trade
> risk = 0.05*Capital; // % max risk per trade
> /* calling custom backtest*/
> SetCustomBacktestProc("");
> if( Status("action") == actionPortfolio )
> {
> bo = GetBacktesterObject();
> bo.backtest(1);
> Sumprofitperrisk = 0;
> numtrades = 0;
> // iterate for closed trades
> for( trade = bo.getfirsttrade(); trade; trade = bo.getnexttrade() )
> {
> rmultiple = trade.getprofit()/risk;
> trade.addcustommetric("initial risk $" , risk );
> trade.addcustommetric("R-multiple" , rmultiple );
> Sumprofitperrisk = Sumprofitperrisk + rmultiple ;
> numtrades++;
> }
> expectancy3 = Sumprofitperrisk / numtrades ;
> bo.addcustommetric( "Expectancy (per risk)", expectancy3 );
> bo.listtrades();
> }
>
> xb = IIf(C > EMA(C,7),20,0);
> xs = IIf(C < EMA(C,7),-20,0);
> y = TimeFrameGetPrice("h",inMonthly,-1);
> z = TimeFrameGetPrice("h",inMonthly,-2);
> p = TimeFrameGetPrice("l",inMonthly,-1);
> q = TimeFrameGetPrice("l",inMonthly,-2);
> r = TimeFrameGetPrice("h",inMonthly);
> s = TimeFrameGetPrice("l",inMonthly);
> wz = Max(y,z);
> zb = IIf(r > wz ,30,0);
> wq = Min(p,q);
> zs = IIf(s < wq,-30,0);
> yw = TimeFrameGetPrice("h",inWeekly,-1);
> zw = TimeFrameGetPrice("h",inWeekly,-2);
> pw = TimeFrameGetPrice("l",inWeekly,-1);
> qw = TimeFrameGetPrice("l",inWeekly,-2);
> rw = TimeFrameGetPrice("h",inWeekly);
> sw = TimeFrameGetPrice("l",inWeekly);
> wzs = Max(yw,zw);
> yb = IIf(rw > wzs ,25,0);
> wqs = Min(pw,qw);
> ys = IIf(sw < wqs,-25,0);
> score = xb+yb+zb+xs+ys+zs;
> avrage = MA(V,30);
> diffvol = (V-avrage)/avrage;
> Buy = C > Ref(HHV(H,2),-1) AND C>O AND score > 70 ;
> BuyPrice = C;
> bstopamount = BuyPrice-(wqs - 1);
> Sell = L < wqs;
> SellPrice = wqs - 1;
> ExRem(Buy,Sell);
> Short = C < Ref(LLV(L,2),-1) AND C<O AND score < -70 ;
> ShortPrice = C ;
> sstopamount = (wzs +1) - ShortPrice;
> Cover = rw > wzs ;
> CoverPrice = wzs + 1;
> SetPositionSize( 100, spsShares ) ;
> ExRem(Short,Cover);
> //PositionSize =IIf(Buy,
Min((risk/bstopamount)*BuyPrice,possize),Min((risk/sstopamount)*ShortPri\
ce,possize));
> //PositionScore = PositionSize ; //(V- MA(V,7))/MA(V,7) ; OR
ma(v,5)/ma(v,20); prefer stocks that High vol thrust;
> //ApplyStop(0,1,4,1);
>
> thisk works fine.
>
> but following chane gives blank coloum.
>
> Capital = 100000;
> SetOption("InitialEquity", Capital );
> RoundLotSize = 1;
> xb = IIf(C > EMA(C,7),20,0);
> xs = IIf(C < EMA(C,7),-20,0);
> y = TimeFrameGetPrice("h",inMonthly,-1);
> z = TimeFrameGetPrice("h",inMonthly,-2);
> p = TimeFrameGetPrice("l",inMonthly,-1);
> q = TimeFrameGetPrice("l",inMonthly,-2);
> r = TimeFrameGetPrice("h",inMonthly);
> s = TimeFrameGetPrice("l",inMonthly);
> wz = Max(y,z);
> zb = IIf(r > wz ,30,0);
> wq = Min(p,q);
> zs = IIf(s < wq,-30,0);
> yw = TimeFrameGetPrice("h",inWeekly,-1);
> zw = TimeFrameGetPrice("h",inWeekly,-2);
> pw = TimeFrameGetPrice("l",inWeekly,-1);
> qw = TimeFrameGetPrice("l",inWeekly,-2);
> rw = TimeFrameGetPrice("h",inWeekly);
> sw = TimeFrameGetPrice("l",inWeekly);
> wzs = Max(yw,zw);
> yb = IIf(rw > wzs ,25,0);
> wqs = Min(pw,qw);
> ys = IIf(sw < wqs,-25,0);
> score = xb+yb+zb+xs+ys+zs;
> avrage = MA(V,30);
> diffvol = (V-avrage)/avrage;
> Buy = C > Ref(HHV(H,2),-1) AND C>O AND score > 70 ;
> BuyPrice = C;
> bstopamount = BuyPrice-(wqs - 1);
> Sell = L < wqs;
> SellPrice = wqs - 1;
> ExRem(Buy,Sell);
> Short = C < Ref(LLV(L,2),-1) AND C<O AND score < -70 ;
> ShortPrice = C ;
> sstopamount = (wzs +1) - ShortPrice;
> Cover = rw > wzs ;
> CoverPrice = wzs + 1;
> SetPositionSize( 100, spsShares ) ;
> ExRem(Short,Cover);
> risk = IIf(Buy, bstopamount*BuyPrice,sstopamount*ShortPrice); // max
risk per trade
> /* calling custom backtest*/
> SetCustomBacktestProc("");
> if( Status("action") == actionPortfolio )
> {
> bo = GetBacktesterObject();
> bo.backtest(1);
> Sumprofitperrisk = 0;
> numtrades = 0;
> // iterate for closed trades
> for( trade = bo.getfirsttrade(); trade; trade = bo.getnexttrade() )
> {
> rmultiple = trade.getprofit()/risk;
> trade.addcustommetric("initial risk $" , risk );
> trade.addcustommetric("R-multiple" , rmultiple );
> Sumprofitperrisk = Sumprofitperrisk + rmultiple ;
> numtrades++;
> }
> expectancy3 = Sumprofitperrisk / numtrades ;
> bo.addcustommetric( "Expectancy (per risk)", expectancy3 );
> bo.listtrades();
> }
>
> can any one help.
>
> asit.
>
> --- In [email protected], "Mike" sfclimbers@ wrote:
> >
> > See "custom metrics" in the user guide:
> >
> > http://www.amibroker.com/guide/a_custommetrics.html
> >
> > Mike
> >
> > --- In [email protected], "asitasu" <asitasu@> wrote:
> > >
> > > dear frieds,
> > >
> > > i want to add extra collume of risk(no % risk) in backtest report
how to add this by use of afl? i want risk to be calculated on base of
trade
> > > entry & stop loss price. say for example i enter at Rs 2515 and at
time of entry my stop loss is Rs 2375.50, than risk per unit is 139.5(ie
2515 - 2375.50).
> > >
> > > help me.
> > >
> > > asit.
> > >
> >
>
